Publication: Distribution of maximum loss of fractional Brownian motion with drift
dc.contributor.coauthor | Vardar-Acar, Ceren | |
dc.contributor.department | Department of Mathematics | |
dc.contributor.kuauthor | Çağlar, Mine | |
dc.contributor.schoolcollegeinstitute | College of Sciences | |
dc.date.accessioned | 2024-11-09T12:45:14Z | |
dc.date.issued | 2013 | |
dc.description.abstract | In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H >= 1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0, t] behaves like the tail of the marginal distribution at time t. | |
dc.description.fulltext | YES | |
dc.description.indexedby | WOS | |
dc.description.indexedby | Scopus | |
dc.description.issue | 12 | |
dc.description.openaccess | YES | |
dc.description.publisherscope | International | |
dc.description.sponsoredbyTubitakEu | TÜBİTAK | |
dc.description.sponsorship | Scientific and Technological Research Council of Turkey (TÜBİTAK) | |
dc.description.version | Author's final manuscript | |
dc.description.volume | 83 | |
dc.identifier.doi | 10.1016/j.spl.2013.09.008 | |
dc.identifier.embargo | NO | |
dc.identifier.filenameinventoryno | IR00248 | |
dc.identifier.issn | 0167-7152 | |
dc.identifier.quartile | Q4 | |
dc.identifier.scopus | 2-s2.0-84884961714 | |
dc.identifier.uri | https://hdl.handle.net/20.500.14288/2433 | |
dc.identifier.wos | 327920700019 | |
dc.keywords | Maximum drawdown | |
dc.keywords | Maximum loss | |
dc.keywords | Fractional brownian motion | |
dc.keywords | Large deviation | |
dc.keywords | Gaussian process | |
dc.keywords | Drawdown | |
dc.keywords | Supremum | |
dc.language.iso | eng | |
dc.publisher | Elsevier | |
dc.relation.grantno | 110T674 | |
dc.relation.ispartof | Statistics and Probability Letters | |
dc.relation.uri | http://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/1273 | |
dc.subject | Mathematics | |
dc.subject | Statistics | |
dc.subject | Probability | |
dc.title | Distribution of maximum loss of fractional Brownian motion with drift | |
dc.type | Journal Article | |
dspace.entity.type | Publication | |
local.contributor.kuauthor | Çağlar, Mine | |
local.publication.orgunit1 | College of Sciences | |
local.publication.orgunit2 | Department of Mathematics | |
relation.isOrgUnitOfPublication | 2159b841-6c2d-4f54-b1d4-b6ba86edfdbe | |
relation.isOrgUnitOfPublication.latestForDiscovery | 2159b841-6c2d-4f54-b1d4-b6ba86edfdbe | |
relation.isParentOrgUnitOfPublication | af0395b0-7219-4165-a909-7016fa30932d | |
relation.isParentOrgUnitOfPublication.latestForDiscovery | af0395b0-7219-4165-a909-7016fa30932d |
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